臺灣博碩士論文加值系統

有些財務研究探討賭博行為對金融市場運作的可能影響，認為賭博動機者會不理性偏好報酬右偏的資產，因此傾向購買能以小博大、一夕致富之樂透股，亦即具備低價、高獨特性偏態與波動的股票，買入這類股票就如同持有樂透，在短期間內有極低機會可以獲得極端正報酬，即使平均報酬為負，投資人還是願意承擔高風險。本研究以台灣股市為研究對象，首先觀察到樂透股存在超額報酬共變，亦即不同樂透股報酬會一起改變但無法被常見風險因子所解釋。第二利用逐筆委託資料衡量不同類型投資人的交易型態，發現散戶對樂透股不僅委託比率最高而且大多為急單，同時會一起改變對樂透股的買進(賣出)需求，使得不同樂透股的買(賣)超具有相關性。另外也觀察到樂透股報酬共變與賭博情緒改變有關，因為相較於法人，散戶有較強烈賭博偏好而傾向將交易活動集中在樂透股，而且比較會對多個樂透股一起買賣超，當賭博情緒或偏好改變時，散戶會一起改變對樂透股的買賣決策，造成樂透股彼此報酬會連動。最後觀察到有些共同因素會系統性影響樂透股報酬共變，當股票市場情緒樂觀、樂透市場受關注程度較低、農曆新年期間與景氣擴張階段，散戶對樂透股需求會一起增加，導致樂透股報酬共變更明顯。

An emerging literature in finance examines the potential link between gambling behavior and financial market outcomes. Recent studies predict that investors would be willing to accept a negative return premium for stocks with positively-skewed returns. Gambling-motivated investors prefer the lottery-like stocks with low nominal share price, high idiosyncratic skewness and high idiosyncratic volatility. Lottery-like stocks are overpriced in the short-run and earn a negative average risk-adjusted return in the long-run. This study investigates whether there exists excess return comovement among lottery stocks in Taiwan stock market. Applying the order flow data, we examine the correlated trading on lottery stocks by different types of investors and how the order flow comovements of different types of investors influence on the return comovement among lottery stocks. Finally, we examine which common factors, including stock market sentiment, attention grapping events of lottery market, Chinese New Year effect and economic states, systematically impact the return comovement among lottery stocks.

第壹章 緒論………………………………………………………………………….1
第貳章 文獻探討與假說設立……………………………………………………….5
第參章 研究設計……………………………………………………………………10
第一節 樣本選取與資料來源……………………………………………………10
第二節 研究方法…………………………………………………………………10
第肆章 實證結果分析………………………………………………………………16
第一節 敘述統計…………………………………………………………………16
第二節 樂透股報酬共變的實證結果……………………………………………16
第三節 投資人交易型態與樂透股報酬共變的關係……………………………18
第四節 影響樂透股報酬共變的系統因素………………………………………20
第伍章 結論…………………………………………………………………………27
參考文獻……………………………………………………………………………..29

附錄:研究結果說明表格
表1 敘述統計………………………………………………………………………..34
表2 樂透股報酬共變的估計結果…………………………………………………..38
表3 各類投資人的委託比率與急單比率…………………………………………..39
表4 各類投資人的買賣超共變……………………………………………………..40
表5 樂透股報酬共變的迴歸估計結果……………………………………………..41
表6 股票市場情緒對樂透股報酬共變的影響……………………………………..43
表7 引人關注的樂透事件…………………………………………………………..45
表8 樂透市場引人關注事件對樂透股報酬共變的影響…………………………..46
表9 農曆新年效應對樂透股報酬共變的影響……………………………………..47
表10 景氣狀態對樂透股報酬共變的影響…………………………………………48

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